579 reputation
211
bio website Nonewhatsoever
location London, United Kingdom
age
visits member for 2 years, 2 months
seen Sep 4 at 16:39

Merge keep


Sep
30
awarded  Explainer
Sep
24
awarded  Autobiographer
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awarded  Yearling
Jul
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comment Utility to download historical Implied Volatility data from Interactive Brokers?
@SpeedBoots: Usually on StackExchange you should post the details of any links for the reason chrisaycock mentioned.
Jul
2
awarded  Curious
May
28
comment How to simulate a Merton Jump Diffusion process?
@Riste: if your question is for OP, it is better to ask it on the question rather than one of the answer.
Jan
14
comment Calculate Daily Returns for Sharpe Ratio
Thanks, I totally missed the part about MTM
Jan
13
answered Calculate Daily Returns for Sharpe Ratio
Jan
9
comment How to design a custom equity backtester?
For the stop loss issue, you should assume the worst case scenario. Ideally you should not work at a resolution where the stop loss would be so close that it would be a common occurrence that the order would matter.
Jan
4
comment How to reproject rates risk on a subset of tenors
They are obtained via bumping your inputs in your risk/pricing model and recomputing the PV.
Jan
3
revised How to reproject rates risk on a subset of tenors
deleted 105 characters in body
Jan
3
revised How to reproject rates risk on a subset of tenors
added 1313 characters in body
Jan
3
asked How to reproject rates risk on a subset of tenors
Nov
6
revised Quantitative finance mentality for success
added 105 characters in body
Nov
6
answered Quantitative finance mentality for success
Nov
4
revised IMM rolls: Are there special business day conventions?
deleted 3 characters in body
Nov
4
answered IMM rolls: Are there special business day conventions?
Nov
3
comment From Fourier Transforms to Option Values
@vonjd: were you one of his students ?
Nov
1
awarded  Tag Editor
Nov
1
revised pairs-trading wiki description
Added a note to say that this was from Wikipedia